Systems

1632 KiB

Open AccessArticle

Using Agent-Based Modeling to Assess Liquidity Mismatch in Open-End Bond Funds

by Donald J. Berndt, David Boogers, Saurav Chakraborty and James McCart

Systems 2017, 5(4), 54; https://doi.org/10.3390/systems5040054 - 6 Dec 2017

Cited by 2 | Viewed by 9486

In this paper, we introduce a small-scale heterogeneous agent-based model of the US corporate bond market. The model includes a realistic micro-grounded ecology of investors that trade a set of bonds through dealers. Using the model, we simulate market dynamics that emerge from [...] Read more.

In this paper, we introduce a small-scale heterogeneous agent-based model of the US corporate bond market. The model includes a realistic micro-grounded ecology of investors that trade a set of bonds through dealers. Using the model, we simulate market dynamics that emerge from agent behaviors in response to basic exogenous factors (such as interest rate shocks) and the introduction of regulatory policies and constraints. A first experiment focuses on the liquidity transformation provided by mutual funds and investigates the conditions under which redemption-driven bond sales may trigger market instability. We simulate the effects of increasing mutual fund market shares in the presence of market-wide repricing of risk (in the form of a 100 basis point increase in the expected returns). The simulations highlight robust-yet-fragile aspects of the growing liquidity transformation provided by mutual funds, with an inflection point beyond which redemption-driven negative feedback loops trigger market instability. Full article

(This article belongs to the Special Issue Pervasive Simulation for Enhanced Decision Making)

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6691 KiB

Open AccessArticle

A Conceptual Design of Spatio-Temporal Agent-Based Model for Volcanic Evacuation

by Jumadi, Steve Carver and Duncan Quincey

Systems 2017, 5(4), 53; https://doi.org/10.3390/systems5040053 - 26 Nov 2017

Cited by 14 | Viewed by 10684

Abstract

The understanding of evacuation processes is important for improving the effectiveness of evacuation plans in the event of volcanic disasters. In terms of social processes, the enactment of evacuations in volcanic crises depends on the variability of individual/household responses. This variability of population [...] Read more.

The understanding of evacuation processes is important for improving the effectiveness of evacuation plans in the event of volcanic disasters. In terms of social processes, the enactment of evacuations in volcanic crises depends on the variability of individual/household responses. This variability of population response is related to the uncertainty and unpredictability of the hazard characteristics of volcanoes—specifically, the exact moment at which the eruption occurs (temporal), the magnitude of the eruption and which locations are impacted (spatial). In order to provide enhanced evacuation planning, it is important to recognise the potential problems that emerge during evacuation processes due to such variability. Evacuation simulations are one approach to understanding these processes. However, experimenting with volcanic evacuations in the real world is risky and challenging, and so an agent-based model is proposed to simulate volcanic evacuation. This paper highlights the literature gap for this topic and provides the conceptual design for a simulation using an agent-based model. As an implementation, an initial evacuation model is presented for Mount Merapi in Indonesia, together with potential applications of the model for supporting volcanic evacuation management, discussion of the initial outcomes and suggestions for future work. Full article

(This article belongs to the Special Issue Pervasive Simulation for Enhanced Decision Making)

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7938 KiB

Open AccessArticle

An Integral Model to Provide Reactive and Proactive Services in an Academic CSIRT Based on Business Intelligence

by Walter Fuertes, Francisco Reyes, Paúl Valladares, Freddy Tapia, Theofilos Toulkeridis and Ernesto Pérez

Systems 2017, 5(4), 52; https://doi.org/10.3390/systems5040052 - 23 Nov 2017

Cited by 10 | Viewed by 11917

Abstract

Cyber-attacks have increased in severity and complexity. That requires, that the CERT/CSIRT research and develops new security tools. Therefore, our study focuses on the design of an integral model based on Business Intelligence (BI), which provides reactive and proactive services in a CSIRT, [...] Read more.

Cyber-attacks have increased in severity and complexity. That requires, that the CERT/CSIRT research and develops new security tools. Therefore, our study focuses on the design of an integral model based on Business Intelligence (BI), which provides reactive and proactive services in a CSIRT, in order to alert and reduce any suspicious or malicious activity on information systems and data networks. To achieve this purpose, a solution has been assembled, that generates information stores, being compiled from a continuous network transmission of several internal and external sources of an organization. However, it contemplates a data warehouse, which is focused like a correlator of logs, being formed by the information of feeds with diverse formats. Furthermore, it analyzed attack detection and port scanning, obtained from sensors such as Snort and Passive Vulnerability Scanner, which are stored in a database, where the logs have been generated by the systems. With such inputs, we designed and implemented BI systems using the phases of the Ralph Kimball methodology, ETL and OLAP processes. In addition, a software application has been implemented using the SCRUM methodology, which allowed to link the obtained logs to the BI system for visualization in dynamic dashboards, with the purpose of generating early alerts and constructing complex queries using the user interface through objects structures. The results demonstrate, that this solution has generated early warnings based on the level of criticality and level of sensitivity of malware and vulnerabilities as well as monitoring efficiency, increasing the level of security of member institutions. Full article

(This article belongs to the Special Issue Pervasive Simulation for Enhanced Decision Making)

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2971 KiB

Open AccessArticle

Social Systems: Resources and Strategies

by Pavel Brazhnikov

Systems 2017, 5(4), 51; https://doi.org/10.3390/systems5040051 - 15 Nov 2017

Cited by 2 | Viewed by 7464

Abstract

This theoretical article reviews the model describing processes in social systems based on the analysis of their resource base. Application of the system theory can help to explain why some systems are aimed at prevention of type I errors, while others seek to [...] Read more.

This theoretical article reviews the model describing processes in social systems based on the analysis of their resource base. Application of the system theory can help to explain why some systems are aimed at prevention of type I errors, while others seek to decrease the quantity of type II errors. Such differences are manifested in investment of resources either into deep interaction or into wide coverage. Some examples of such strategies in economic, market and production systems are provided in the article. The article introduces some provisions of the system theory in the context of the resource flows. The main indicators that are considered in this article are the characteristics of the sources of the exchanging flows of resources. Their relative frequency and quality are investigated; on the basis of which the most effective strategy of the system is derived; as a mechanism for redistribution of resources. The rigor of the system’s strategy depends on the magnitude of the difference in characteristics. It is explained how exactly it influences the exchange processes, that in reality systems do not interact simultaneously and one of the opposite resource flows is always delayed. It is shown how the system strategy depends on the risks linked with interactions. Also, there are grounds for the need to accumulate resources, including in the situation of their surplus. The model helps also explain shift of economic centers throughout history. Additionally, there is an analogy between systems strategies and the competitive strategies described by M. Porter and outsourcing versus integration. Full article

(This article belongs to the Special Issue Complex Adaptive Systems)

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1127 KiB

Open AccessFeature PaperArticle

The Complementary Perspective of System of Systems in Collaboration, Integration, and Logistics: A Value-Chain Based Paradigm of Supply Chain Management

by Raed Jaradat, Frank Adams, Sawsan Abutabenjeh and Charles Keating

Systems 2017, 5(4), 50; https://doi.org/10.3390/systems5040050 - 20 Oct 2017

Cited by 20 | Viewed by 13716

Abstract

The importance and complexity of the problems associated with coordinating multiple organizations to configure value propositions for customers has drawn the attention of multiple disciplines. In an effort to clarify and consolidate terms, this conceptual research examines both supply chain management (SCM) and [...] Read more.

The importance and complexity of the problems associated with coordinating multiple organizations to configure value propositions for customers has drawn the attention of multiple disciplines. In an effort to clarify and consolidate terms, this conceptual research examines both supply chain management (SCM) and system of systems (SoS) literature to postulate, from a value-chain perspective, what roles integration and collaboration play in helping supply chains satisfy customer requirements. A literature review analysis was used to identify the commonalities and differences between supply chain management and system of systems approaches to examining interfirm coordination of value creation efforts. Although a framework of integration and collaboration roles in value creation is proposed, further empirical testing of the concept is required to substantiate initial conclusions. The concepts proposed may help clarify where strategic and operational managers need to focus their efforts in coordinating supply chain member firms. The incorporation of SoS engineering into the supply chain field will draw the linkage between the constituent principles, and concepts of Systems Theory as appropriate for the supply chain management field. This is the first effort to reconcile two separate but parallel scholarship streams examining the coordination of multiple organizations in value creation. This research shows that there are some methodologies, principles, and methods from the SoS field that can supplement supply chain management research. Mainly due to a unit of analysis issue, systems based approaches have not been in the mainstream of supply chain management field development. Full article

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615 KiB

Open AccessArticle

A Measure of the Non-Determinacy of a Dynamic Neighborhood Model

by Anatoliy Shmyrin and Irina Sedykh

Systems 2017, 5(4), 49; https://doi.org/10.3390/systems5040049 - 12 Oct 2017

Cited by 1 | Viewed by 5821

Abstract

In this paper we define a non-deterministic dynamic neighborhood model. As a special case, a linear neighborhood model is considered. When a non-deterministic neighborhood model functions, it is possible to introduce a restriction on the number of active layers, which will allow the [...] Read more.

In this paper we define a non-deterministic dynamic neighborhood model. As a special case, a linear neighborhood model is considered. When a non-deterministic neighborhood model functions, it is possible to introduce a restriction on the number of active layers, which will allow the variation of the non-determinism of the model at each moment of time. We give the notion of the non-determinacy measure and prove that it has the properties of a probability measure. We formulate the problem of reachability with partially specified parameters, layer priorities, and the non-determinacy measure. An algorithm for solving the attainability problem for a neighborhood model with variable indeterminacy and layer priorities is presented. An example of its solution is shown, which shows that when the priorities are compared and the measure of non-determinism is used, the solution of the problem can be obtained more quickly than by a method that does not use priorities. Full article

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1394 KiB

Open AccessArticle

Packageability as an ‘Ility’ for Systems Engineering

by Rick L. Sturdivant and Edwin K. P. Chong

Systems 2017, 5(4), 48; https://doi.org/10.3390/systems5040048 - 23 Sep 2017

Viewed by 8459

Abstract

The usefulness of packageability as one of the ‘ilities’ for systems engineering was investigated. It was found that packageability plays an important role in a multitude of systems, and it was investigated in several ways. First, a brief analysis showed that at least [...] Read more.

The usefulness of packageability as one of the ‘ilities’ for systems engineering was investigated. It was found that packageability plays an important role in a multitude of systems, and it was investigated in several ways. First, a brief analysis showed that at least two criteria must be met for something to be considered an ility. These criteria are that the ility often manifests itself after the system is deployed, and that the potential ility must not simply be a persistent physical characteristic. It was shown that packageability meets both requirements. Second, six different systems were examined, revealing nine general ways packageability is used. They provide a way for system engineers to recognize packageability as a non-functional system property. The usefulness of packageability as a top-level non-functional system property is shown, as well as for sub-systems and components. A working definition of packageability is then proposed. Finally, a detailed treatment of packageability is presented for radar systems with transmit–receive modules. Packageability was shown to be a useful ility category that can add value to stakeholders, and that captures real system features that are not captured by other ilities. This work demonstrates that packageability should be considered as an ility for systems engineers. Full article

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Systems, Volume 5, Issue 4 (December 2017) – 7 articles

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